On a discrete interaction risk model with delayed claims and randomized dividends

Juan Liu, Ya Huang, Xuyan Xiang and Jieming Zhou

Communications in Statistics - Theory and Methods, 2022, vol. 51, issue 15, 5241-5257

Abstract: In this paper, we study a discrete interaction risk model with delayed claims and randomized dividends payable at a non-negative threshold level. The recursive formula and the defective renewal equation for the Gerber-Shiu discounted penalty function are derived. Furthermore, the explicit expression for the discount-free Gerber-Shiu function is obtained. As an application, the joint distributions of the surplus immediately prior to ruin and the deficit at ruin and numerical illustration from a specific example are presented.

Date: 2022
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DOI: 10.1080/03610926.2020.1836221

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